non-negative constant or a volatility term structure; local volatility

T

-

positive constant; time to maturity date (in years)

N

-

positive integer; number of steps

G

-

the number of steps used in the trinomial tree

Description

•

The BlackScholesTrinomialTree(S0, r, d, v, G) command returns a trinomial tree approximating a Black-Scholes process with the specified parameters. Each step of this tree is obtained by combining two steps of the corresponding binomial tree (see Finance[BlackScholesBinomialTree] for more details).

•

The BlackScholesTrinomialTree(S0, r, d, v, T, N) command is similar except that in this case a uniform time grid with step size TN is used instead of G.

Examples

>

with&ApplyFunction;Finance&colon;

First you construct a trinomial tree for a Black-Scholes process with constant drift and volatility.

Maplesoft™, a subsidiary of Cybernet Systems Co. Ltd. in Japan, is the leading provider of high-performance software tools for engineering, science, and mathematics. Its product suite reflects the philosophy that given great tools, people can do great things.